Momentum, Business Cycle, and Time - Varying Expected Returns  

Oleh:

Chordia, Tarun ; Shivakumar, Lakshmanan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 985-1020.
Topik: business cycle; studies; macro economics; expected returns; time series; profits; business cycles; investors; regression analysis
Fulltext: p 985.pdf (176.1KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A growing number of researchers argue that time - series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation of short - term returns or momentum is one such pattern that has dified any rational explanation and is at odds with market efficiency. This paper shows that profits to momentum strategies can be explained by a set if lagged macroeconmic variables and payoffs to momentum stratefies disappear once stock returns are adjusted for their predictability based on these macroeconomic variables. Our results provide a possible role for time - varying expected returns as an explanation for momentum payoffs.

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